Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1291
Annualized Std Dev 0.2595
Annualized Sharpe (Rf=0%) 0.4977

Row

Daily Return Statistics

Close
Observations 3619.0000
NAs 1.0000
Minimum -0.1326
Quartile 1 -0.0070
Median 0.0017
Arithmetic Mean 0.0006
Geometric Mean 0.0005
Quartile 3 0.0087
Maximum 0.1043
SE Mean 0.0003
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0011
Variance 0.0003
Stdev 0.0163
Skewness -0.4670
Kurtosis 5.2252

Downside Risk

Close
Semi Deviation 0.0121
Gain Deviation 0.0105
Loss Deviation 0.0129
Downside Deviation (MAR=210%) 0.0164
Downside Deviation (Rf=0%) 0.0118
Downside Deviation (0%) 0.0118
Maximum Drawdown 0.5538
Historical VaR (95%) -0.0262
Historical ES (95%) -0.0398
Modified VaR (95%) -0.0266
Modified ES (95%) -0.0499
From Trough To Depth Length To Trough Recovery
2007-07-20 2008-11-20 2013-05-10 -0.5538 1453 340 1113
2020-02-20 2020-03-18 2020-05-29 -0.3461 70 20 50
2018-09-05 2018-12-24 2019-03-21 -0.2956 136 77 59
2015-06-19 2016-02-09 2017-03-17 -0.2947 440 162 278
2021-02-16 2021-03-08 NA -0.2446 25 15 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA -2.1 -1.1 -0.9 -4
2007 0.6 0 0.3 0 0.2 -0.3 0.3 1.5 2.1 -2.1 -0.1 -0.8 1.6
2008 3.6 -1.9 3.2 3.2 0.5 0.1 -0.2 -1.4 -1.1 3.1 -8 2.8 3.2
2009 -2 0.5 1 0.3 4.3 1.6 -0.5 -1.7 -2.8 -2.5 1.2 0 -0.9
2010 0.9 1.9 -0.5 -2.6 -2.5 -0.8 0 3 0 -0.5 2.7 -1 0.5
2011 2.8 -1.5 0.6 0 -0.9 1.5 -0.6 0.7 -0.5 -3.6 4.3 1 3.6
2012 2.6 0.2 0.2 1.3 -2.4 3.2 -1.4 0.2 -0.4 1.3 -0.5 1.1 5.3
2013 1 -0.1 -1.1 -1.8 -0.3 1.1 1 0.8 1.4 -0.6 0.3 0.3 1.8
2014 -1 -0.7 1.8 1.4 -1.1 1.2 -0.1 0.8 -2.5 3 -1.6 -1.1 0
2015 -1.2 -0.5 -1.1 2.1 0.4 0.3 -0.3 -2.6 -0.1 0.7 0.5 -1.5 -3.4
2016 0.4 2.7 0.6 -1.4 0.3 -0.1 0.1 0.5 0.9 -0.8 -4.2 -1.3 -2.4
2017 1.6 1.9 -0.1 1.3 0.6 -0.2 0.5 0.4 1.5 -1.7 -1.1 -0.1 4.4
2018 -0.9 -1.9 2.5 0.2 1.6 0.3 2.5 0.4 -1.4 1.9 0.6 1.2 7.1
2019 0.7 1.3 0.8 -1.7 -0.8 0.9 0.8 -1.3 -1.2 0.8 -0.5 0.3 0.2
2020 -2.8 1 -4.4 -3 2.4 2.3 1.8 5.3 2.7 -3.7 -0.5 -0.4 0.1
2021 2 5.8 2.3 NA NA NA NA NA NA NA NA NA 10.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-10-12  25.5 SPY    136.  0.0087   0.0081   0.0307   0.103     0.160    0.299    0.239 GLD    57.5  0.0107   0.01  
2 2006-10-13  25.8 SPY    137.  0.0026   0.012    0.0333   0.108     0.164    0.298    0.248 GLD    58.6  0.0188   0.0277
3 2006-10-16  25.9 SPY    137.  0.0015   0.013    0.037    0.104     0.153    0.303    0.252 GLD    59.2  0.0102   0.0344
4 2006-10-17  25.8 SPY    136. -0.0031   0.0084   0.0323   0.0853    0.145    0.294    0.240 GLD    58.6 -0.0088   0.0289
5 2006-10-18  25.6 SPY    137.  0.0013   0.011    0.0363   0.0942    0.159    0.310    0.269 GLD    58.6 -0.001    0.0301
6 2006-10-19  25.7 SPY    137.  0.0016   0.0039   0.0325   0.104     0.142    0.302    0.274 GLD    59.4  0.014    0.0334
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart